Esmeralda O. Lyn

The performance of new equity offerings in Hungary and Poland

Abstract This paper documents the short- and long-run price performance of 103 initial public offerings (IPOs) in Poland and 33 in Hungary during the 1991–1998 period. The empirical analysis reveals significant first-day underpricing of 15.12% in Hungary and 54.45% in Poland. The long-run performance of the new offerings in these markets is less conclusive. The cross-section regression analysis finds that market momentum is a significant and primary determinant of initial returns in both countries. The evidence suggests that over the study period, the degree of underpricing is determined by the intensity of demand driven by investor interest where offering prices do not fully adjust to the prevailing market conditions.

Predicting Stock Returns in the Developing Markets of Eastern Europe

How well can market fundamentals such as earnings-to-price (EP) ratios, book-to-market (BM) ratios, and dividend yields (DY), along with political risk measures and economic variables, predict stock market returns in the transitional countries of Eastern Europe? BM ratios are positively and significantly related to future returns with 1- to 12-month horizons. There is some evidence that EP ratios are negatively related to returns with holding periods longer than six months. Dividend yields are on average positively related to stock returns but with lower degrees of statistical significance. The findings also show that stock returns are significantly related to market liquidity and systematic risk. The linkages between returns and economic and political variables are mixed and inconclusive.

The Impact of Faith-Based Screens on Investment Performance

There has been a phenomenal rise in faith-based investing in recent years. A very important question arises: do investors sacrifice satisfactory economic returns by making ethically and socially responsible investing decisions based on their faith? Using data on 36 faith-based mutual funds, this article reviews and extends previous research on the performance of faith-based investing. It examines the performance of these faith-based funds over three different five-year periods from May 2001 to February 2008. By applying a comprehensive set of tests, the authors find evidence that faith-based funds mostly outperform the market. The results also suggest that faith-based funds do better than socially responsible investing funds in general.